Statistical properties of derivatives: a journey in term structures.

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. This paper goes beyond statistical analysis by including the maturity as a variable for futures contracts’s daily returns, from 1998 to 2010 and for delivery dates up to 120 months. We observe that the mean and variance of the commodities follow a scaling behavior in the maturity dimension with an exponent characteristic of the Samuelson effect. The comparison of the tails of the probability distribution according to the expiration dates shows that there is a segmentation in the fat tails exponent term structure above the Lévy stable region. Finally, we compute the average tail exponent for each maturity and we observe two regimes of extreme events for derivative markets, reminding of a phase diagram with a sharp transition at the 18th delivery month.Derivatives; Econophysics; Tail exponents; Term structures;

The freight market and its interactions with the energy system.

Freigth market; derivatives; integration;

Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices

International audienceWe apply the concepts of mutual information and information flows and we built directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural shocks between 2000 and 2014: financialization (starting in 2003), infrastructure limitations (in 2008-2011) and regulatory changes (in 2012-2014). Wefind large variations over time in the amount of information shared by contracts with different maturities. The mutual information increased substantially starting in 2004 but fell back sharply in 2012-2014. In the crude oil space, our findings point to a possible re-segmentation of the futures market by maturity in 2012-2014. This raises questions about the causes of market segmentation. In addition, although on average short-dated contracts (up to 6 months) emit more information than backdated ones, a dynamic analysis reveals that, after 2012, similar amounts of information flow backward as flow forward along the futures maturity curve. Moreover, the directions of the transfers between pairs of maturities become drastically different. This has implications for the Samuelson effect

Saint Christophe portant l’Enfant Jésus (musée du Louvre) : une polychromie bourguignonne du milieu du xve siècle

Entré dans les collections du musée du Louvre en 1944, ce Saint Christophe (RF 2540) dont l’origine bourguignonne paraît aujourd’hui très probable était recouvert de deux repeints et d’une patine de type antiquaire. Réalisée en 2012, la restauration a mis au jour une polychromie originale d’une grande finesse, se caractérisant par une gamme colorée simple et contrastée, une technique picturale complexe faisant un large usage de nuances et de glacis, et une faible épaisseur, laissant les traces d’outils animer la surface et jouer avec la lumière.Part of the collections of the Louvre since 1944, this Saint Christopher (RF 2540), whose Burgundian origins seem highly probable today, was covered in two layers of repainting and an antiquarian’s patina. Carried out in 2012, the restoration brought to light the finesse of the original polychromy, characterized by a simple palette of contrasting colours, a complex pictorial technique making much use of subtle shades and glazes, applied thinly so as to let tool marks enliven the surface and play with light

Evaluation of DNA Methylation Episignatures for Diagnosis and Phenotype Correlations in 42 Mendelian Neurodevelopmental Disorders.

Genetic syndromes frequently present with overlapping clinical features and inconclusive or ambiguous genetic findings which can confound accurate diagnosis and clinical management. An expanding number of genetic syndromes have been shown to have unique genomic DNA methylation patterns (called episignatures ). Peripheral blood episignatures can be used for diagnostic testing as well as for the interpretation of ambiguous genetic test results. We present here an approach to episignature mapping in 42 genetic syndromes, which has allowed the identification of 34 robust disease-specific episignatures. We examine emerging patterns of overlap, as well as similarities and hierarchical relationships across these episignatures, to highlight their key features as they are related to genetic heterogeneity, dosage effect, unaffected carrier status, and incomplete penetrance. We demonstrate the necessity of multiclass modeling for accurate genetic variant classification and show how disease classification using a single episignature at a time can sometimes lead to classification errors in closely related episignatures. We demonstrate the utility of this tool in resolving ambiguous clinical cases and identification of previously undiagnosed cases through mass screening of a large cohort of subjects with developmental delays and congenital anomalies. This study more than doubles the number of published syndromes with DNA methylation episignatures and, most significantly, opens new avenues for accurate diagnosis and clinical assessment in individuals affected by these disorders

Genes but Not Genomes Reveal Bacterial Domestication of Lactococcus Lactis

BACKGROUND: The population structure and diversity of Lactococcus lactis subsp. lactis, a major industrial bacterium involved in milk fermentation, was determined at both gene and genome level. Seventy-six lactococcal isolates of various origins were studied by different genotyping methods and thirty-six strains displaying unique macrorestriction fingerprints were analyzed by a new multilocus sequence typing (MLST) scheme. This gene-based analysis was compared to genomic characteristics determined by pulsed-field gel electrophoresis (PFGE). METHODOLOGY/PRINCIPAL FINDINGS: The MLST analysis revealed that L. lactis subsp. lactis is essentially clonal with infrequent intra- and intergenic recombination; also, despite its taxonomical classification as a subspecies, it displays a genetic diversity as substantial as that within several other bacterial species. Genome-based analysis revealed a genome size variability of 20%, a value typical of bacteria inhabiting different ecological niches, and that suggests a large pan-genome for this subspecies. However, the genomic characteristics (macrorestriction pattern, genome or chromosome size, plasmid content) did not correlate to the MLST-based phylogeny, with strains from the same sequence type (ST) differing by up to 230 kb in genome size. CONCLUSION/SIGNIFICANCE: The gene-based phylogeny was not fully consistent with the traditional classification into dairy and non-dairy strains but supported a new classification based on ecological separation between "environmental" strains, the main contributors to the genetic diversity within the subspecies, and "domesticated" strains, subject to recent genetic bottlenecks. Comparison between gene- and genome-based analyses revealed little relationship between core and dispensable genome phylogenies, indicating that clonal diversification and phenotypic variability of the "domesticated" strains essentially arose through substantial genomic flux within the dispensable genome

Systemic risk in energy derivative markets: A graphtheory analysis

Considering it as a necessary condition for systemic risk to appear, this article focuses on integration in energy derivative markets, through a three-dimensional approach: observation time, space and the maturity of futures contracts. Such a method indeed makes it possible to investigate prices shocks in the physical as well as in the paper markets. In order to understand the underlying principles and the dynamic behavior of our prices system, we select specific tools of the graph-theory. More precisely, we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks. We study the organization of these trees and their dynamic behavior. Examining Professor Delphine Lautier is also member of the Fime-FDD laboratory and associate researc

Systemic risk and complex systems: a graph theory analysis

National audienc

Information Flows in the term structure of commodity prices

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases during the period under scrutiny (i.e. 2000-2011). This is especially true for intermediate maturities. When focusing on information transfer, on average on the whole period, it appears that short-term maturities emit more information than long-term ones. This is consistent with the normal functioning of a futures market. A dynamic analysis however reveals that the relative importance of information flows emerging in the far end of the curve (for long-term maturities) arises as integration progresses in the crude oil market. The transmission of shocks from the paper to the physical markets is thus facilitated. Last but not least, the direction of prices moves becomes less stable as time goes on. On the theoretical point of view, these findings raise questions about the segmentation theory and the Samuelson effect

The freight market and its interactions with the energy system

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